Mark Price

Last updated: 12/30/2025

1. What Is the Mark Price

The Mark Price is a reference price used by KuCoin Futures to calculate users’ unrealized PnL and liquidation prices. It is not the latest traded price of the contract.

Compared with the latest transaction price, the Mark Price more accurately reflects the contract’s “fair” market value and effectively reduces distortions caused by abnormal volatility or market manipulation, thereby avoiding unnecessary liquidations.

During extreme market conditions, the Mark Price helps users maintain position stability amid short-term fluctuations, enhancing overall trading fairness and system security.

In KuCoin Futures, the pricing framework consists of three core concepts. Each serves a different purpose and together ensures system fairness and stability:

Latest Traded Price: The result of order matching in the futures market, reflecting actual executed trades.
Index Price: A weighted price derived from multiple spot exchanges, used for funding rate and Mark Price calculations.
Mark Price: Calculated based on the index price, funding rate, and basis; used for unrealized PnL and liquidation calculations. It is smoother, manipulation-resistant, and closer to fair value.

Under normal conditions, these three prices are usually close to each other. However, during periods of high volatility or extreme market conditions, the Mark Price may diverge from the latest traded price or the index price.

2. Composition and Calculation of Mark Price

To reduce unnecessary liquidations during abnormal market fluctuations and improve overall market stability, KuCoin Futures uses the Mark Price, rather than the latest traded price, to calculate unrealized PnL and liquidation prices.

Depending on the trading phase, the Mark Price is applied in three scenarios:

The standard perpetual contract trading phase, for daily PnL, margin assessment, and liquidation checks;
30 minutes before contract delisting, where special rules apply to mitigate the impact of declining liquidity and abnormal prices;
The pre-market perpetual contract phase, where it provides a relatively stable reference for risk assessment and position management when spot prices are not yet available or liquidity is insufficient.

2.1 Mark Price Formula (Standard Perpetual Contract Phase)

Mark Price = Median (Price 1, Price 2, Contract Price)

Price 1 = Index Price × [1 + Latest Funding Rate × (Time Until Next Funding / Funding Interval)]
- Funding Interval: The time between two consecutive funding settlements (in hours).
- Time Until Next Funding: The remaining time before the next funding settlement (in hours).
Price 2 = Index Price + Basis Moving Average
- Basis Moving Average = Moving average of (Contract Mid-Price − Index Price)
  - Mid-Price = (Best Bid + Best Ask) / 2, calculated once per second
  - Per-second Basis = Mid-Price − Index Price
  - Basis Moving Average (last 300 seconds) = Moving average of (Mid-Price − Index Price), updated every second
- Basic Moving Average = (Previous second MA × (t − 1) + Latest one-second basis) / t
Contract Price = Latest Traded Price

2.2 Mark Price Formula (30 Minutes Before Perpetual Contract Delisting)

In the final stage before contract delisting, market liquidity often declines and price volatility increases, making prices more prone to distortion or manipulation. Therefore, special Mark Price rules are applied during the last 30 minutes before delisting, and the contract settlement price upon delisting is based on the average index price. This approach aims to reduce the impact of abnormal price movements on liquidation, margin calculations, and PnL settlement, protect user interests, and ensure a fair and orderly delisting and settlement process.

Mark Price = Average Index Price (calculated once per second)
- Assuming the delisting time is 22:00:
  - 21:35 Mark Price = Average index price from 21:30 to 21:35
  - 21:59 Mark Price = Average index price from 21:30 to 21:59
180-Second Smooth Transition Mechanism
- Starting from 21:30, the system gradually transitions from the original Mark Price formula to the new average-based formula over 180 seconds, to avoid sudden Mark Price fluctuations.
  - Mark Price = β × (New Mark Price Formula) + (1 − β) × (Old Mark Price Formula)

2.3 Mark Price for Pre-Market Contracts

During the pre-market perpetual phase
- Mark Price = Moving average of the latest traded price
During the transition to the standard perpetual phase (when the index price becomes available)
- Mark Price = β × (Index Price + Basis Moving Average) + (1 − β) × (Moving average of the latest traded price)

β represents the smoothing factor during the transition period, measured in seconds, where β ∈ (0, 1].

3.Mark Price Calculation Example

Assume the BTCUSDT perpetual contract parameters are as follows (simplified calculation):

Parameter	Value	Description
Index Price	50,000	Weighted price calculated from multiple exchanges
Latest Funding Rate	0.01%	Current funding rate
Time Until Next Funding Settlement	4 hours	Remaining time before the next funding settlement
Funding Interval	8 hours	Time between two consecutive funding settlements
Contract Mid-Price	50,050	(Best bid + best ask) / 2
Latest Traded Price	50,100	Most recent executed trade price

Price 1 = 50,000 × [1 + 0.0001 × (4 / 8)] = 50,002.5
Price 2 = 50,000 + MA(50,050 − 50,000) = 50,050
Contract Price = 50,100

Mark Price = Median (50,002.5, 50,050, 50,100) = 50,050

4. FAQ

4.1 Advantages of the Median-Based Mark Price Mechanism

The median-based Mark Price mechanism provides a more accurate and stable reference during periods of extreme volatility.

By combining the index price, basis moving average, and contract trading price, it better reflects fair market value. The median approach filters out short-term abnormal fluctuations or price spikes, effectively reducing unnecessary liquidations, such as when:

The contract price is temporarily pumped or dumped;
An abnormal quote appears in an index price source;
A small basis exists between the futures and spot markets.

4.2 Why the Mark Price May Deviate from the Index Price or Latest Traded Price

The Mark Price is designed not to strictly follow spot or futures prices, but to represent a stable fair value. Deviations may occur in the following situations:

Premium or Discount Adjustments Within the Funding Cycle When perpetual contracts trade at a premium (positive funding rate) or discount (negative funding rate) relative to spot, the Mark Price adjusts smoothly within the funding cycle based on the funding rate factor, resulting in some lag.
Temporary Insufficient Liquidity in the Futures Market When order book depth is shallow, the latest traded price may temporarily deviate from the true market center. The Mark Price filters such noise through index and basis smoothing mechanisms.
High Volatility or Isolated Abnormal Quotes During extreme market movements, an abnormal quote from a spot source or market maker may distort the index. The system applies correction rules (e.g., median × 1.05 limits), which may cause the Mark Price to temporarily diverge from the latest traded price.
Leverage Amplification Effects In high-leverage markets, concentrated stop-losses or position openings can sharply stretch transaction prices in the short term. The Mark Price does not instantly follow such spikes, helping suppress liquidation cascades.

4.3 Reversion Mechanism After Mark Price Deviation

The Mark Price has a built-in dynamic reversion mechanism:

When the contract price deviates from the index price beyond a threshold for a prolonged period, the funding rate mechanism incentivizes convergence. (For example: contract price above spot → positive funding rate → longs pay shorts → contract price tends to fall.)
Once abnormal quotes are corrected or market equilibrium is restored, the Mark Price naturally converges back toward the index price.

The Mark Price always follows market trends within a reasonable range, while avoiding being driven by short-term market sentiment.

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